We focus on the volatility of Bitcoin as this digital asset dominates the cryptocurrency market with the largest market cap after USDT. In finance, volatility refers to the degree of variation of an asset's price over time [1]}. Market volatility is generally considered a vital metric to evaluate the level of risk, and thus it plays a critical role in assessing the stock market risk and the pricing of derivative securities [2]}. Compared to traditional financial instruments, the price of Bitcoin is highly volatile [3]}.
In general, the Bitcoin market is currently highly speculative, and thus more susceptible to speculative bubbles than other traditional currency markets [4]}, [5]}.
Bitcoin has recently also found its place in portfolios to hedge against the global geopolitical crisis [6]} and reduce financial market uncertainty ([7]}, [8]}, [9]}, hence studying risk and assessing exposure is important to cryptocurrency investors, and it becomes important to model and forecast the volatility of Bitcoin. In this paper, we focus on predicting future spikes in Bitcoin's volatility.
